Nucky Thompson plans a lavish Egyptian themed party at his home to see out 1922. He brings his mistress Billie Kent, posing as a dancer. Tension still runs high in his marriage over Margaret donating a swathe of valuable land to the church. Gillian Darmody has converted The Commodore's lavish home into a brothel and employed Richard Harrow as a "caretaker". Harrow kills Manny Horvitz unexpectedly. New York gangsters flock to Nucky's party, including volatile Gyp Rosetti. Rosetti is enraged when Nucky announces that he will supply Arnold Rothstein exclusively. Turf disputes in Chicago heat up between Irish mobster Dean O'Banion and Al Capone. Fugitive Nelson Van Alden is posing as salesman Mr. Mueller. He is frustrated at work and stumbles into a confrontation between O'Banion and Capone and impresses O'Banion.
Samuel Crawford proproses to Chalky White's daughter, Maybelle, who is unsure. She brings him to Chalky's jazz club where a man slashes his face with a switchblade. Chalky has the knife wielder beaten to a bloody pulp. Eli Thompson is released from prison and is disappointed when Mickey Doyle picks him up and takes him to Tabor Heights to deliver payoffs. The town is Mickey's customary bootlegging refueling point, half way between Atlantic City and New York. Eli is welcomed home by his family and, seeing their need, reluctantly goes to work for Mickey. Rosetti buys the Tabor Heights gas station and pickets the street with armed men blocking the shipment. Margaret investigates the paucity of health education for pregnant women. Nucky visits New York, staying with Billie and delivering a payoff to Gaston Means.
Nucky tries to appease Gyp and end the blockade of his shipments but inadvertently insults him. Lucky Luciano and Meyer Lansky try to complete a heroin deal but are attacked by Joe Masseria's men. Richard takes responsibility for Manny's murder to Nucky and clarifies that it was revenge for Angela Darmody. Van Alden fears recognition when he is caught in a speakeasy raid but is allowed to pay his way free. Margaret uses Nucky receiving the St. Gregory's Award to manipulate support for her planned women's clinic. Nucky is troubled by nightmares and hallucinations relating to killing Jimmy and desperately seeks solace with Billie.
Nucky orders his bootleggers to avoid Tabor Heights and restarts the search for Rowland Smith, annoyed that his crew are looking to Owen Sleater for leadership. They track Smith to his hideout but are trapped there with him when corrupt Philadelphia Prohibition Agents raid the place. As they hide in the basement, Smith tries to charm Nucky into giving him a job. When the feds leave Nucky kills Smith himself, reestablishing his power for Owen. Mickey is desperate to supply Rothstein and ignores Nucky's order over Eli's protests. Eli scouts ahead and realizes that an ambush is being set-up but is unable to spare the convoy. Margaret begins advertising the women's clinic. Luciano is summoned to negotiate with Masseria. Capone faces his son being bullied at school and murders Joe Miller after Miller attacks Jake Guzik.
Rothstein vents about Nucky's failure to deliver his liquor shipments. Nucky blames Gyp but Rothstein is reluctant to provoke Masseria. Rothstein employs Benjamin Siegel to assassinate Gyp but the hit goes awry. Nucky remains fixated on Billie and is disappointed with rehearsals of her play. He has Chalky strongarm Eddie Cantor into getting involved. Margaret stumbles across Nucky with Billie. Gillian Darmody opts to maintain her denial about Jimmy's death at the expense of her business. Van Alden and Sigrid kill a prohibition agent to protect their identities and he turns to Dean O'Banion for assistance in disposing of the body. The Attorney General's office comes under fire from Andrew W. Mellon and Means recommends the arrest of a major bootlegger to deflect the criticism.
Joining Gillian are Richard Harrow and her adviser, Leander, as the body of the man Gillian claims to be Jimmy is cremated. In reality, it was the man who looked like her son, Roger, whom Gillian drugged and drowned.
News gets around that Jimmy has died, and Nucky seems a bit confused, since it was he who shot Jimmy at the end of season two. Nucky pays a visit to Gillian to offer his condolences. She tells the story about how he returned home from “one of his excursions” and had a substance abuse problem. Nucky goes along with the story until she tosses a drink in his face, accusing him of killing her son. He tells her the only reason she exists is because he is in town...
Reeling from Gyp’s most recent attack, Nucky vows to eliminate his nemesis through a coalition of familiar partners. In Washington, the arrest of a high-profile bootlegger puts Daugherty and Jess Smith on the hot seat. Emily gets a scaled-down birthday party; Gillian blames an absent Harrow for Tommy’s latest misadventure; Gyp decides to buy a town’s silence; Broadway mourns a fallen star...